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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NY Harbor ULSD(NYM) as of May 13, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   34 37 38 44 45 45 45 45 45 45 45
Closed Higher   22 25 18 25 28 26 26 22 21 24 18
Exceeded High   22 20 15 22 24 21 20 16 17 22 13
Scenario Percentage   100% 80% 83% 88% 86% 81% 77% 73% 81% 92% 72%
Avg Max Increase   11.07% 8.48% 9.64% 9.31% 10.14% 9.46% 8.42% 10.35% 14.03% 12.48% 11.22%
Max Increase   42.43% 29.78% 25.61% 24.85% 62.05% 33.12% 23.00% 25.47% 34.25% 41.13% 26.53%
Avg Days To Max Increase   18 16 18 17 17 16 14 20 17 17 17
Avg Max Decline   -2.15% -1.96% -1.14% -3.12% -2.23% -2.05% -2.06% -2.62% -2.19% -3.14% -1.97%
Max Decline   -8.64% -7.69% -5.71% -17.69% -13.34% -10.58% -10.07% -8.35% -8.24% -13.01% -9.43%
Avg Days to Max Decline   11 7 7 12 9 8 6 12 5 8 3
2024 Contract Condition         Yes Yes Yes Yes       Yes
Action         Yes Yes Yes No       Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   34 37 38 44 45 45 45 45 45 45 45
Closed Lower   12 12 20 19 16 19 19 23 24 21 27
Penetrated Low   8 7 13 14 10 11 14 20 24 15 15
Scenario Percentage   67% 58% 65% 74% 63% 58% 74% 87% 100% 71% 56%
Avg Max Decline   8.17% 8.10% 8.99% 6.85% 8.96% 11.62% 11.28% 15.48% 13.19% 16.31% 9.71%
Max Decline   13.96% 20.05% 17.56% 26.31% 23.72% 39.41% 42.24% 42.17% 38.36% 37.84% 20.51%
Avg Days To Max Decline   15 17 17 18 18 17 14 18 19 16 16
Avg Max Increase   -3.98% -2.71% -1.30% -2.25% -3.43% -2.41% -2.34% -2.55% -3.77% -3.98% -2.72%
Max Increase   -10.29% -5.79% -8.44% -7.59% -12.77% -14.75% -7.13% -7.75% -12.74% -14.44% -11.57%
Avg Days to Max Increase   10 11 4 12 11 15 8 8 12 11 5
2024 Contract Condition   Yes Yes Yes         Yes Yes Yes  
Action   Yes Yes No         Yes Yes Not Yet  
High 270.21 270.35 259.51 240.81 241.99 275.47 287.61 305.55 297.11 287.07 269.30 285.57
Low 251.00 235.88 235.00 220.00 225.19 233.80 272.53 279.61 265.09 258.40 242.45 247.40
Close/Last 262.17 249.92 240.16 225.89 239.11 274.86 279.83 293.52 276.70 267.58 249.52 278.52

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